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Rating: 
Summary: A bit technical
Review: After reading A Random Walk, I was expecting another easy, entertaining read. This turned out to be much more technical. Even with a fairly strong statistics background, I still got lost. The style is much more dry. It's not written for the general public like A Random Walk is.
Rating: 
Summary: not a primer for day traders
Review: The other reviews are right...this book is definitely not a how-to guide for personal investors looking to "beat the market." It's essentially an academic tome, so its theme is tightly circumscribed (so they do not and should ask about all asset markets that might possibly be relevant to investors -- only the stock market over certain periods). The exposition is extremely sophisticated and makes use of cutting edge mathematical and especially statistical modeling to make the case. The punch line has two important parts: (i) the "random walk" hypothesis is false -- day to day movements in stock prices are not random bouncing that many extant models claim they should be; and (ii) most of us will never have the capabilities to employ these modeling techniques to put the rubber to the road and find out WHICH way stock X is going on December 13. So it's fascinating in regard to the mechanics of asset pricing, but totally useless as a practical investment guide. But that doesn't mean it's a *bad* book or that it warrants a 3-star rating (the average at the time of this review). Blame _Business Week_ if you expected something else. The book is exceptional and does no more and no less than what it claims to do.
Rating:
Summary: not for those of limited intellect
Review: There is no indication anywhere that this book was intended
either as a follow on to Burton Malkiel's A Random Walk Down
Wall Street or as a primer for day traders. Hence it is
rather disappointing to read the reviews of those who
somehow managed to reach one of the preceding conclusions. Several statistical studies have made it clear that the
markets are not completely random as asserted by much of the
academic economics community. It is impossible to prove or
refute the Efficient Markets Hypothesis, because, as Farmer
puts it, the EMH, by itself, is not a well-posed and
empirically refutable hypothesis. This book tries to
rigorously analyze the markets as they are. The average investor could easily reach the same conclusions
as Burton Malkiel strives for, namely that he is best off
investing in an index fund. However, they do it in a more
interesting fashion than simply asserting that, on average,
one cannot beat the average.
Rating:
Summary: Excellent Econometric Analysis for the Right Audience
Review: This is a book about financial economics, not day-trading. The techniques used is advanced econometric analysis, not technical charting. The purpose is to clarify some common myth about efficient market theory and the random walk hypothesis, not to show one how to pick stocks. Just like the authors' other book ("Econometrics of Financial Markets"), this one is of the highest high quality, and does a superb job on what it set out to be. Some readers seem to be disappointed at this book by naively assuming what the title implies, as shown by some of the reviews here. They really can't blame anyone but themselves. Just because Burton Malkiel's classic didn't show us how to day trade doesn't mean a book with the opposite title will do so, nor did the authors ever claim that, either.
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